Testing for harmonic regressors.

This paper reports on simulation results for the Wald test for ï¡1=ï¡2=0 in the regression model for the case ï« is known and for the case where ï« has to be estimated using nonlinear least squares (NLS). This last situation is not standard, and we therefore provide critical values for further use. A power study shows that choosing inappropriate starting values for ï« leads to a quick loss of power.

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Year of publication:	2007-01-31
Authors:	Franses, Ph.H.B.F. ; Groot, E.A. de ; Legerstee, R.
Institutions:	Erasmus University Rotterdam, Econometric Institute
Subject:	harmonic regressors \| critical values

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Extent:	application/pdf
Series:	Econometric Institute Report. - ISSN 1566-7294.
Type of publication:	Book / Working Paper
Notes:	The text is part of a series RePEc:dgr:eureir Number EI 2007-04
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10004972182